All Mid Freq

P&L Summary

Range Return Sharpe Win% Ave Ave+ Ave- Max- Underwater Days %
20 3 1.1 45 1 12 (8) (17) (1) 100
60 12 3.6 60 4 16 (11) (58) (1) 100
120 13 3.3 53 5 22 (13) (58) (1) 98
250 28 4.1 60 11 29 (16) (91) (1) 99
500 40 6 65 15 35 (18) (107) (2) 99
760 40 6.4 65 16 34 (16) (107) (2) 99
1260 32 5.5 63 12 30 (16) (107) (2) 99
2520 40 5.7 64 16 35 (18) (171) (2) 99
All 31 5.2 62 12 31 (17) (171) (4) 98

P&L Month Table

Year 1 2 3 4 5 6 7 8 9 10 11 12 R Sharpe Win% Trades MaxLoss UW Max Ave
Avg 4.1 2.9 2.9 2 2.4 3.3 3.5 1.7 1.8 2.1 3.6 3.5 33.8 5.7 63.4 261 (0.9) (1.5) 2.1 1
2017 1.5 0.7 1.7 (0.1) 0.7 0 0 0 0 0 0 0 4.5 3.4 54.3 93 (0.6) (1) 1.6 0.8
2016 6.3 9 4.2 3 1.7 7.8 3.8 1.4 1.2 2.4 5.7 0.8 47.3 6 66.3 261 (1.1) (1.5) 2.3 1
2015 9 1.3 5.1 2.7 3.3 1.3 7.5 5.9 2.2 1.4 4.7 3.8 48.2 7.5 66.7 261 (0.9) (1.6) 2.4 1.1
2014 1.1 1.1 2.6 0.7 1 0.9 0.2 0 3.2 4.3 2.4 11.3 28.8 5.9 62.3 261 (0.8) (1) 2.2 1.1
2013 1.6 1.8 1.7 3.3 2.2 4.1 3.4 (0.4) 1.2 0.1 2.9 (0.1) 21.8 3.8 58.6 261 (0.9) (2.3) 2 0.8
2012 2.6 1.5 1.1 0.2 3.8 2.5 2.6 1.5 1.1 2.3 2.1 1.5 22.8 5.4 62.9 261 (0.8) (1.1) 1.9 0.9
2011 1.3 1.6 1.8 3.4 2.4 1.7 1.6 3.7 7.1 4.9 3.5 4.2 37.2 5.9 60.5 260 (0.8) (1.3) 2.2 0.9
2010 1 1.1 2.2 1.3 6.5 2.3 2.8 1.5 2.1 2.1 0.9 4.4 28.2 5.7 64.6 261 (1.2) (2.1) 1.8 0.7
2009 10.7 6.1 3.2 5.2 4.2 4.3 4.4 3.5 2.9 3.5 3 4.5 55.5 7.4 69.3 261 (1.2) (2) 2.4 0.8
2008 1.8 4.2 3.3 5.2 2.8 1.2 4.4 7.9 7.9 26 16.3 14.1 95.1 7.1 68.3 262 (1.7) (1.9) 2.2 1
2007 (0.3) 1.8 0.2 1.2 0.8 2 1.8 1.9 4.4 2.9 4.3 1.9 22.9 5.4 63.8 261 (0.8) (1.8) 1.8 0.8
2006 2.7 2.5 2.9 3.5 0.7 3.4 0.3 1 3.5 1.9 0 0.8 23.2 4.8 61.1 260 (0.9) (1.5) 1.3 0.7
2005 (0.2) 1.5 0.9 0.4 2.4 1.8 0 (0.1) 1.7 0.8 2.1 1.2 12.5 2.9 58 260 (0.9) (1.9) 1.5 0.8
2004 1.5 0.4 2.5 2.1 3.4 0.6 1.2 1.6 1.3 2.4 2.6 3.8 23.4 5.3 65.1 262 (0.8) (1.3) 1.5 0.7
2003 3.4 2.2 4.1 5.1 3.1 2.1 1.8 1.1 1.5 3.6 1 2.5 31.5 6.4 64.1 261 (0.5) (1) 1.4 0.7
2002 2.1 (0.5) 3.6 0.3 2 (1.7) 1.9 2.1 1.5 2 1.5 0.5 15.3 3.1 56.1 261 (0.9) (2.4) 1.7 0.7
2001 2.4 0.5 0.2 3.1 1.9 1.4 1.6 3 3.6 2 3.7 3.9 27.3 5.2 60.6 261 (1.4) (1.5) 1.8 0.7
2000 0.8 3.5 0.2 1.8 2.9 2.6 0.1 1.3 1.1 (2.2) (0.2) 5.6 17.5 3.3 54.3 258 (1) (3.7) 1.3 0.7